Semi‐efficient valuations and put‐call parity

DOI10.1111/mafi.12162zbMath1417.91503OpenAlexW3121513931MaRDI QIDQ4962463

Martin Herdegen, Martin Schweizer

Publication date: 2 November 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/90558/13/WRAP-semi-efficient-valuations-put-call-Herdegen-2017.pdf

zbMATH Keywords

put-call parityefficiencycompletenessincomplete marketsviabilityoption valuationrisk-neutral valuationabsence of arbitrageNFLVRNUPBRmaximal strategiesconsistent valuationsemi-efficient markets

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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